Internet Settings on iPhone 4 - please help

Please help I am not a techno fundie when it comes to phones. None of the internet functions work with my phone. I have MTN as my network provider. However I do connect to my Vodacom wifi, then all my internet functionality works. How could this be? My sevice provider stated on numerous occations, that from their side all settings are correct? I have data availabe, and on their side all settings are correct. This is the following settings on my phone for internet tethering is APN - internet.
What I also tried is to replace my micro sim - but no luck. I also tested another micro sim and this has worked.
Please could someone help me as I have this nice phone but can only make calls and sms.

I have recently discovered that MTN has locked their iphones. Dont ask questions. I then took it to someone to have jailbroken. Now it works with my Vodacom sim. BTW I was told MTN had locked their iphones. Allthough illegal, and not commonly known, and apparantly the only phone to have been network locked. Anyhow my iphone is now functioning on Vodacom after I had tested 2 mini sims, and thought they were stuffed.

You should ask them to unlock it on their side, so the unlock is permanent, even with OS upgrades and stuff. In fact, I didn't even know it was possible to unlock an iPhone 4 on OS 5.1.1, via the jailbreak method. How did he do that?